Dynamics in Survival Analysis: Conditional Gaussian Property versus Cameron-Martin Formula

Yashin AI (1984). Dynamics in Survival Analysis: Conditional Gaussian Property versus Cameron-Martin Formula. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-84-107

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Abstract

This paper describes the stochastic process model for mortality rates of the population. The key question is the relationship between conditional and unconditional survival functions. The Cameron and Martin solution to the problem is compared to the solution based on the Conditional Gaussian Approach. The advantages of the Gaussian approach are discussed. The proof of the main formula for averaging uses the martingale specification of the random hazard rate.

Item Type: Monograph (IIASA Working Paper)
Research Programs: World Population (POP)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:54
Last Modified: 21 Jul 2016 17:09
URI: http://pure.iiasa.ac.at/2411

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